Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes

24 April 2019

Papers citing "Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes"

6 / 6 papers shown

Title
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process Fabian Mies 39 10 0 19 Jun 2019
Contrast function estimation for the drift parameter of ergodic jump diffusion process Chiara Amorino A. Gloter 30 24 0 24 Jul 2018
Jump filtering and efficient drift estimation for Lévy-driven SDE's A. Gloter D. Loukianova H. Mai 30 23 0 16 Mar 2016
Jump activity estimation for pure-jump semimartingales via self-normalized statistics Viktor Todorov 26 40 0 18 Aug 2015
Efficient estimation of integrated volatility in presence of infinite variation jumps J. Jacod Viktor Todorov 67 76 0 29 May 2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps J. Jacod M. Reiß 71 48 0 19 Sep 2012